| 我国粮食期货市场与现货市场价格传导关系的研究 |
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| 引用本文： | 王川. 我国粮食期货市场与现货市场价格传导关系的研究[J]. 中国食物与营养, 2011, 17(2): 46-51 |
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| 作者姓名： | 王川 |
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| 作者单位： | 中国农业科学院农业信息研究所/农业部智能化农业预警技术重点开放实验室,北京,100081 |
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| 基金项目： | 国家科技支撑计划重点项目"农产品数量安全智能分析与预警关键技术支撑系统及示范" |
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| 摘 要： | 为研究我国粮食期货市场价格发现功能发挥的程度以及对现货市场的影响,采用Johansen协整检验、Granger因果检验、脉冲响应函数、方差分解等方法,以大豆、玉米、小麦为对象,对我国粮食期货市场与现货市场价格的传导关系进行了实证分析。结果表明,我国粮食期货价格与现货价格间存在长期均衡关系,它们之间表现出以期货价格向现货价格传导为主的单向传导关系,现货价格向期货价格的传递受到一定程度的阻滞。其中,大豆和小麦期货市场与现货市场的价格传导速率为1阶滞后,玉米为3阶滞后;我国粮食期货价格向现货价格传导的内在动力主要在于期货市场的价格发现功能得以充分实现,期货价格信息标准规范,并能够借用现代网络技术有效畅通地传递到现货市场中;而粮食现货市场因交易方式落后、信息化水平低下、市场信息标准不规范等因素,制约了现货市场信息向期货市场的传递。
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| 关 键 词： | 粮食 期货市场 现货市场 价格传导 |
Grain Price Transmission Correlation Between Futures Market and Spot Market in China |
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| WANG Chuan. Grain Price Transmission Correlation Between Futures Market and Spot Market in China[J]. Food and Nutrition in China, 2011, 17(2): 46-51 |
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| Authors: | WANG Chuan |
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| Affiliation: | WANG Chuan (Agricultural Information Institute of Chinese Academy of Agricultural Science/ Key Laboratory of Digital Agricultural Early-warning Technology Ministry of Agriculture of MOA,Beijing 100081,China) |
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| Abstract: | Grain price transmission correlation between futures market and spot market was empirically analyzed.Taking soybean,maize and wheat as objects,Johansen Cointegration Test,Granger Causality Test,Impulse Response Function and Variance Decomposition Method were used to study the level of price discovery function of Chinese grain futures market and the influence of futures price on spot price.Results showed that there existed a long-term equilibrium relationship between futures price and spot price in grain mar... |
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| Keywords: | grain futures market spot market price transmission |
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